Orthogonal weighted linear L1 and L∞ approximation and applications

AbstractLet S={s1,s2,...,sn} be a set of sites in Ed, where every site si has a positive real weight ωi. This paper gives algorithms to find weighted orthogonal L∞ and L1 approximating hyperplanes for S. The algorithm for the weighted orthogonal L1 approximation is shown to require O(nd) worst-case time and O(n) space for d ≥ 2. The algorithm for the weighted orthogonal L∞ approximation is shown to require O(n log n) worst-case time and O(n) space for d = 2, and O(n⌊dl2 + 1⌋) worst-case time and O(n⌊(d+1)/2⌋) space for d > 2. In the latter case, the expected time complexity may be reduced to O(n⌊(d+1)/2⌋). The L∞ approximation algorithm can be modified to solve the problem of finding the width of a set of n points in Ed, and the problem of finding a stabbing hyperplane for a set of n hyperspheres in Ed with varying radii. The time and space complexities of the width and stabbing algorithms are seen to be the same as those of the L∞ approximation algorithm

Stochastic collocation on unstructured multivariate meshes

Collocation has become a standard tool for approximation of parameterized systems in the uncertainty quantification (UQ) community. Techniques for least-squares regularization, compressive sampling recovery, and interpolatory reconstruction are becoming standard tools used in a variety of applications. Selection of a collocation mesh is frequently a challenge, but methods that construct geometrically "unstructured" collocation meshes have shown great potential due to attractive theoretical properties and direct, simple generation and implementation. We investigate properties of these meshes, presenting stability and accuracy results that can be used as guides for generating stochastic collocation grids in multiple dimensions.Comment: 29 pages, 6 figure

A weighted reduced basis method for parabolic PDEs with random data

This work considers a weighted POD-greedy method to estimate statistical outputs parabolic PDE problems with parametrized random data. The key idea of weighted reduced basis methods is to weight the parameter-dependent error estimate according to a probability measure in the set-up of the reduced space. The error of stochastic finite element solutions is usually measured in a root mean square sense regarding their dependence on the stochastic input parameters. An orthogonal projection of a snapshot set onto a corresponding POD basis defines an optimum reduced approximation in terms of a Monte Carlo discretization of the root mean square error. The errors of a weighted POD-greedy Galerkin solution are compared against an orthogonal projection of the underlying snapshots onto a POD basis for a numerical example involving thermal conduction. In particular, it is assessed whether a weighted POD-greedy solutions is able to come significantly closer to the optimum than a non-weighted equivalent. Additionally, the performance of a weighted POD-greedy Galerkin solution is considered with respect to the mean absolute error of an adjoint-corrected functional of the reduced solution.Comment: 15 pages, 4 figure

Option Pricing with Orthogonal Polynomial Expansions

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial option price series expansion performs as efficiently and accurately as the Fourier transform based method in the nested affine cases. We also derive and numerically validate series representations for option Greeks. We depict an extension of our approach to exotic options whose payoffs depend on a finite number of prices.Comment: forthcoming in Mathematical Finance, 38 pages, 3 tables, 7 figure

Sparse approximation of multivariate functions from small datasets via weighted orthogonal matching pursuit

We show the potential of greedy recovery strategies for the sparse approximation of multivariate functions from a small dataset of pointwise evaluations by considering an extension of the orthogonal matching pursuit to the setting of weighted sparsity. The proposed recovery strategy is based on a formal derivation of the greedy index selection rule. Numerical experiments show that the proposed weighted orthogonal matching pursuit algorithm is able to reach accuracy levels similar to those of weighted $\ell^1$ minimization programs while considerably improving the computational efficiency for small values of the sparsity level